Sequential Parameter Estimation of Time-Varying Non-Gaussian Autoregressive Processes

@article{Djuric2002SequentialPE,
  title={Sequential Parameter Estimation of Time-Varying Non-Gaussian Autoregressive Processes},
  author={Petar M. Djuric and Jayesh H. Kotecha and Fabien Esteve and Etienne Perret},
  journal={EURASIP J. Adv. Sig. Proc.},
  year={2002},
  volume={2002},
  pages={865-875}
}
Parameter estimation of time-varying non-Gaussian autoregressive processes can be a highly nonlinear problem. The problem gets even more difficult if the functional form of the time variation of the process parameters is unknown. In this paper, we address parameter estimation of such processes by particle filtering, where posterior densities are approximated by sets of samples (particles) and particle weights. These sets are updated as new measurements become available using the principle of… CONTINUE READING
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